If you are loading a freshly created table, the fastest way is
to create the table, bulk-load with COPY, then create any indexes
needed for the table. Creating an index on pre-existing data is
quicker than updating it incrementally as each record is
loaded.

If you are augmenting an existing table, you can DROP INDEX, load the table, then recreate the index.
Of course, the database performance for other users may be
adversely affected during the time that the index is missing.